dorsal/arxiv
View SchemaEconomic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis
| Authors | C. Coronnello, M. Tumminello, F. Lillo, S. Micciche`, R. N. Mantegna |
|---|---|
| Categories | |
| ArXiv ID | physics/0609036 |
| URL | https://arxiv.org/abs/physics/0609036 |
| DOI | 10.1117/12.729619 |
| Journal | Proceedings Volume 6601, Noise and Stochastics in Complex Systems and Finance; 66010T (2007) |
Abstract
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a set of stocks.
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"abstract": "We review some methods recently used in the literature to detect the\nexistence of a certain degree of common behavior of stock returns belonging to\nthe same economic sector. Specifically, we discuss methods based on random\nmatrix theory and hierarchical clustering techniques. We apply these methods to\na set of stocks traded at the New York Stock Exchange. The investigated time\nseries are recorded at a daily time horizon.\n All the considered methods are able to detect economic information and the\npresence of clusters characterized by the economic sector of stocks. However,\ndifferent methodologies provide different information about the considered set.\nOur comparative analysis suggests that the application of just a single method\ncould not be able to extract all the economic information present in the\ncorrelation coefficient matrix of a set of stocks.",
"arxiv_id": "physics/0609036",
"authors": [
"C. Coronnello",
"M. Tumminello",
"F. Lillo",
"S. Micciche`",
"R. N. Mantegna"
],
"categories": [
"physics.soc-ph",
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1117/12.729619",
"journal_ref": "Proceedings Volume 6601, Noise and Stochastics in Complex Systems\n and Finance; 66010T (2007)",
"title": "Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis",
"url": "https://arxiv.org/abs/physics/0609036"
},
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